Stochastic control for optimal new business

By Christian Hipp, Michael I. Taksar. 2000

56 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e00f358e1e8a82d878a6d0acf8510f73bc127a43

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In Demography

In Management Science and Operations Research

Citations in the corpus

Minimizing the probability of lifetime ruin under borrowing constraints (2007, background): “obabilities to provide investment advice. Other researchers have used the criterion of minimizing the probability of ruin of an insurance company to ﬁnd the optimal rate of new business accumulation (Hipp and Taksar, 2000), to ﬁnd the optimal investment strategy for the insurer (Hipp and Plum, 2000)”
A stochastic differential game for optimal investment of an insurer with regime switching (2011, methodology): “Hipp and Taksar (2000) developed an insurance business model using a compound Poisson process and determined an optimal choice of the new business by minimizing the ruin probability over an infinite time horizon.”
Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005, background): “For example, Hipp and Taksar (2000) minimize the probability of ruin by controlling the rate of new business accumulation.”
Optimal Dynamic XL Reinsurance (2003, unknown): “What is left is a proof for continuity of g(s): then V ′(s) = g(s) is continuous, and V (s) satisfies equation (2).”
Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs (2002, methodology): “To nd solutions numerically we follow the idea of Hipp & Taksar (2000), Schmidli (2001) to develop numerical schemes for approximations of F.”
Optimal investment for insurers (2000, background): “Other optimization problems would be: optimization of reinsurance programs (see [4] and [5]) or of new business (see [3]).”
Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001, result): “We therefore try another approach, similar to the approach in Hipp & Taksar (1998).”